75 lines
2.4 KiB
Matlab
75 lines
2.4 KiB
Matlab
function [h0, h1, longruncorrectionparameter] = hVectors(params, H, ids, idns, auxmodel)
|
|
|
|
% INPUTS
|
|
% - params [double] (m+1)*1 vector, PAC parameters (lag polynomial coefficients and discount factor).
|
|
% - H [double] (np*np) matrix, companion matrix of the VAR(p) model.
|
|
% - ids [integer] n*1 vector, selection of the stationary components of the VAR.
|
|
% - idns [integer] n*1 vector, selection of the non stationary components of the VAR.
|
|
%
|
|
% OUTPUTS
|
|
% - h0 [double] 1*n vector.
|
|
% - h1 [double] 1*n vector.
|
|
%
|
|
% REMARKS
|
|
% The parameters are ordered as follows in the params vector:
|
|
%
|
|
% params(1) ⟶ Error correction parameter.
|
|
% params(2:end-1) ⟶ Autoregressive parameters.
|
|
% params(end) ⟶ Discount factor.
|
|
|
|
% Copyright (C) 2018 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
|
|
|
if nargout>1 && nargin<4
|
|
error('Wrong number of Inputs/Outputs!')
|
|
end
|
|
|
|
[G, alpha, beta] = buildGmatrixWithAlphaAndBeta(params);
|
|
|
|
A = [alpha; 1];
|
|
|
|
A_1 = polyval(A, 1.0);
|
|
A_b = polyval(A, beta);
|
|
|
|
m = length(alpha);
|
|
n = length(H);
|
|
|
|
tmp = eye(n*m)-kron(G, transpose(H));
|
|
|
|
if isempty(ids)
|
|
h0 = [];
|
|
else
|
|
h0 = A_1*A_b*((kron(iota(m, m), H))'*(tmp\kron(iota(m, m), iota(n, ids))));
|
|
end
|
|
|
|
if nargout>1
|
|
if isempty(idns)
|
|
h1 = [];
|
|
else
|
|
switch auxmodel
|
|
case {'var', 'trend_component'}
|
|
h1 = A_1*A_b*(kron(iota(m, m)'*inv(eye(m)-G), H')*(tmp\kron(iota(m, m), iota(n, idns))));
|
|
case 'Need to check in which case we should trigger this one...'
|
|
h1 = A_1*A_b*(kron(iota(m, m)'*inv(eye(m)-G), (H'-eye(length(H))))*(tmp\kron(iota(m, m), iota(n, idns))));
|
|
end
|
|
end
|
|
end
|
|
|
|
if nargout>2
|
|
d = A_1*A_b*(iota(m, m)'*inv((eye(m)-G)*(eye(m)-G))*iota(m, m));
|
|
longruncorrectionparameter = (1-sum(params(2:end-1))-d);
|
|
end |